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RESIDENTIAL INVESTMENT SECURITIES (Tables)
 6 Months Ended
Jun. 30, 2016
Schedule of Available-for-sale Securities Reconciliation
The following tables present the Company’s Residential Investment Securities portfolio carried at fair value as of June 30, 2016 and December 31, 2015:
 
June 30, 2016
  
 
Principal / Notional
  
Remaining Premium
  
Remaining Discount
  
Amortized Cost
  
Unrealized Gains(1)
  
Unrealized Losses(1)
  
Estimated Fair Value
  
Agency
(dollars in thousands)
  
Fixed-rate pass-through
  
$
55,843,681
    
$
3,073,647
    
$
(2,017
)
  
$
58,915,311
    
$
1,080,129
    
$
(55,271
)
  
$
59,940,169
  
Adjustable-rate pass-through
    
2,906,239
      
62,572
      
(5,173
)
    
2,963,638
      
77,317
      
-
      
3,040,955
  
CMO
    
473,489
      
9,860
      
(430
)
    
482,919
      
15,080
      
(252
)
    
497,747
  
Debentures
    
-
      
-
      
-
      
-
      
-
      
-
      
-
  
Interest-only
    
9,061,768
      
1,572,531
      
-
      
1,572,531
      
18,835
      
(207,245
)
    
1,384,121
  
Total Agency investments
  
$
68,285,177
    
$
4,718,610
    
$
(7,620
)
  
$
63,934,399
    
$
1,191,361
    
$
(262,768
)
  
$
64,862,992
  
 
                                                        
Residential Credit
                                                        
CRT
  
$
519,387
    
$
1,878
    
$
(12,415
)
  
$
508,850
    
$
12,476
    
$
(1,005
)
  
$
520,321
  
Legacy(2)
    
690,679
      
815
      
(91,368
)
    
600,126
      
12,553
      
(924
)
    
611,755
  
NPL/RPL
    
374,096
      
65
      
(1,240
)
    
372,921
      
1,785
      
(82
)
    
374,624
  
New issue
    
194,334
      
973
      
(373
)
    
194,934
      
4,444
      
-
      
199,378
  
New issue interest-only
    
1,020,183
      
17,223
      
-
      
17,223
      
-
      
(5,431
)
    
11,792
  
Total residential credit investments
  
$
2,798,679
    
$
20,954
    
$
(105,396
)
  
$
1,694,054
    
$
31,258
    
$
(7,442
)
  
$
1,717,870
  
 
                                                        
Total Residential Investment Securities
  
$
71,083,856
    
$
4,739,564
    
$
(113,016
)
  
$
65,628,453
    
$
1,222,619
    
$
(270,210
)
  
$
66,580,862
  
 
                                                        
 
                                                        
 
December 31, 2015
  
 
Principal / Notional
  
Remaining Premium
  
Remaining Discount
  
Amortized Cost
  
Unrealized Gains(1)
  
Unrealized Losses(1)
  
Estimated Fair Value
  
Agency
(dollars in thousands)
  
Fixed-rate pass-through
  
$
57,339,705
    
$
3,270,521
    
$
(2,832
)
  
$
60,607,394
    
$
400,350
    
$
(824,862
)
  
$
60,182,882
  
Adjustable-rate pass-through
    
2,894,192
      
61,781
      
(6,427
)
    
2,949,546
      
70,849
      
(10,317
)
    
3,010,078
  
CMO
    
964,095
      
27,269
      
(477
)
    
990,887
      
9,137
      
(12,945
)
    
987,079
  
Debentures
    
158,802
      
-
      
(648
)
    
158,154
      
-
      
(6,116
)
    
152,038
  
Interest-only
    
9,499,332
      
1,634,312
      
-
      
1,634,312
      
18,699
      
(114,826
)
    
1,538,185
  
Total Agency investments
  
$
70,856,126
    
$
4,993,883
    
$
(10,384
)
  
$
66,340,293
    
$
499,035
    
$
(969,066
)
  
$
65,870,262
  
 
                                                        
Residential Credit
                                                        
CRT
  
$
476,084
    
$
2,225
    
$
(12,840
)
  
$
465,469
    
$
250
    
$
(9,209
)
  
$
456,510
  
Legacy(2)
    
378,527
      
773
      
(37,150
)
    
342,150
      
698
      
(1,140
)
    
341,708
  
NPL/RPL
    
354,945
      
19
      
(1,270
)
    
353,694
      
19
      
(1,172
)
    
352,541
  
New issue
    
197,695
      
566
      
-
      
198,261
      
-
      
(1,060
)
    
197,201
  
New issue interest-only
    
811,245
      
15,430
      
-
      
15,430
      
-
      
(158
)
    
15,272
  
Total residential credit securities
  
$
2,218,496
    
$
19,013
    
$
(51,260
)
  
$
1,375,004
    
$
967
    
$
(12,739
)
  
$
1,363,232
  
 
                                                        
Total Residential Investment Securities
  
$
73,074,622
    
$
5,012,896
    
$
(61,644
)
  
$
67,715,297
    
$
500,002
    
$
(981,805
)
  
$
67,233,494
  
 
(1) Unrealized gains and losses on Agency investments, excluding interest-only investments, are reported as a component of other comprehensive income (loss). Unrealized gains and losses on residential credit investments and Agency interest-only investments are generally reported in Net unrealized gains (losses) on financial instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss).
(2) Legacy residential credit refers to securities whose underlying collateral was securitized prior to 2009.
Types of Agency Mortgage Backed Securities
The following tables present the Company’s Agency mortgage-backed securities portfolio by issuing Agency concentration as of June 30, 2016 and December 31, 2015:
Investment Type
  
June 30, 2016
    
December 31, 2015
  
 
  
(dollars in thousands)
  
Fannie Mae
  
$
42,009,658
    
$
42,647,075
  
Freddie Mac
    
22,769,693
      
22,960,595
  
Ginnie Mae
    
83,641
      
110,554
  
Total
  
$
64,862,992
    
$
65,718,224
  
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification
The following table summarizes the Company’s available-for-sale Residential Investment Securities as of June 30, 2016 and December 31, 2015, according to their estimated weighted average life classifications:
 
 
June 30, 2016
    
December 31, 2015
  
Weighted Average Life
Estimated Fair Value
    
Amortized Cost
    
Estimated Fair Value
    
Amortized Cost
  
 
(dollars in thousands)
  
Less than one year
  
$
83,514
    
$
84,500
    
$
37,862
    
$
37,850
  
Greater than one year through five years
    
53,216,416
      
52,372,346
      
20,278,111
      
20,066,435
  
Greater than five years through ten years
    
13,272,846
      
13,163,536
      
46,473,701
      
47,174,319
  
Greater than ten years
    
8,086
      
8,071
      
443,820
      
436,693
  
Total
  
$
66,580,862
    
$
65,628,453
    
$
67,233,494
    
$
67,715,297
  
Schedule of Continuous Unrealized Loss Position
The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities by length of time that such securities have been in a continuous unrealized loss position at June 30, 2016 and December 31, 2015.
 
 
June 30, 2016
    
December 31, 2015
  
 
Estimated Fair
Value(1)
    
Gross Unrealized Losses(1)
    
Number of Securities(1)
    
Estimated Fair Value(1)
    
Gross Unrealized Losses(1)
    
Number of Securities(1)
  
 
(dollars in thousands)
  
Less than 12 Months
  
$
467
    
$
(3
)
    
1
    
$
20,072,072
    
$
(164,259
)
    
463
  
12 Months or More
    
9,608,938
      
(55,520
)
    
81
      
21,705,764
      
(689,981
)
    
189
  
Total
  
$
9,609,405
    
$
(55,523
)
    
82
    
$
41,777,836
    
$
(854,240
)
    
652
  
 
(1)            Excludes interest-only mortgage-backed securities.